动力煤期货跨期套利数据回测

本页面展示动力煤期货主连与次主连合约跨期套利历史数据回测分析情况,以下是简要说明:

数据来源

  1. 数据来源于期货交易所官方公布的期货交易数据;
  2. 主连合约指当前主力合约,次主连合约指下一个主力合约,并不是简单的本月合约和次月合约,操作前请严格核对操作标的是否正确;
  3. 为节约服务器资源,数据更新频率为每周六更新;

数据说明

  1. 该页面主要统计了主连与次主连合约历史数据的价格差异;
  2. 所有的差价都是用主连合约数据减去次主连合约所得;
  3. 本页面包含逐日数据对比,汇总的月份数据和年度数据情况;
  4. 通过查看年度、月度以及逐日数据,了解期货跨期价差的历史表现,为投资决策提供参考依据;

学习交流

如果您对期货套利以及其它低风险投资感兴趣,可以关注我们的公众号:财有你我 ,加群交流。

风险提示

注意:历史数据仅供参考,并不能确保100%盈利,投资有风险,决策需谨慎。

数据分析

关于动力煤期货跨期套利的详细数据分析,请查看文章:。

动力煤期货跨期套利年度差价数据

年份 开盘价差均值 开盘价差最小值 开盘价差最大值 收盘价差均值 收盘价差最小值 收盘价差最大值 最高价差均值 最高价差最小值 最高价差最大值 最低价差均值 最低价差最小值 最低价差最大值
2022 11.90 -168.00 269.80 12.77 -160.60 189.00 17.13 -168.00 271.00 8.02 -130.00 175.00
2021 45.75 -167.80 522.00 47.33 -173.00 524.00 50.73 -204.00 594.00 43.28 -164.80 501.80
2020 5.07 -78.80 88.40 4.98 -78.40 87.60 5.46 -79.00 91.60 4.58 -79.60 86.00
2019 0.65 -13.80 25.80 0.63 -12.80 27.20 1.15 -12.60 29.00 0.08 -16.00 27.60
2018 13.21 -48.60 48.40 13.02 -50.00 42.20 14.40 -48.60 46.80 12.12 -50.40 57.20

动力煤期货跨期套利月度差价数据

月份 开盘价差均值 开盘价差最小值 开盘价差最大值 收盘价差均值 收盘价差最小值 收盘价差最大值 最高价差均值 最高价差最小值 最高价差最大值 最低价差均值 最低价差最小值 最低价差最大值
2022-09 144.30 18.80 269.80 144.50 100.00 189.00 185.50 100.00 271.00 96.90 18.80 175.00
2022-08 -121.40 -168.00 -71.20 -105.80 -160.60 -26.80 -132.27 -168.00 -103.80 -95.13 -130.00 -26.80
2022-07 -4.53 -9.80 2.00 13.40 -3.80 25.40 17.47 8.40 25.40 -5.27 -11.80 2.00
2022-06 20.42 -19.80 87.00 19.20 -16.80 67.20 22.78 -6.80 86.80 22.71 -21.00 67.20
2022-05 6.38 -48.00 36.00 6.18 -29.80 39.20 19.12 -18.00 46.60 -4.45 -47.60 30.00
2022-04 -0.98 -18.80 31.00 0.36 -10.00 11.60 1.08 -30.80 72.00 0.56 -35.20 14.00
2022-03 30.30 -8.80 91.40 28.72 -3.00 77.60 36.43 6.00 81.20 22.37 -9.80 67.00
2022-02 12.35 -6.00 52.40 11.71 -4.20 36.00 17.15 2.60 43.60 6.81 -5.00 17.00
2022-01 10.12 -15.40 62.80 11.26 -5.20 89.80 12.11 -8.80 66.60 6.46 -6.20 76.00
2021-12 -84.16 -167.80 158.00 -79.86 -162.60 157.80 -82.33 -157.60 171.60 -84.79 -164.80 152.00
2021-11 155.47 110.80 198.60 156.21 118.60 191.00 173.77 128.80 215.60 146.13 103.00 189.80
2021-10 355.56 224.00 522.00 356.69 168.00 524.00 373.56 210.40 594.00 345.11 190.40 501.80
2021-09 157.85 -147.40 319.80 165.59 -141.20 320.80 170.99 -160.80 327.00 149.78 -149.20 296.00
2021-08 -39.25 -163.20 113.40 -41.09 -173.00 115.00 -40.28 -204.00 121.20 -40.50 -163.40 115.40
2021-07 61.89 41.40 90.40 64.10 40.00 92.40 65.90 39.80 90.80 60.20 39.40 85.40
2021-06 45.53 29.60 52.80 46.27 37.00 53.60 47.74 36.00 57.40 44.40 33.00 52.00
2021-05 -30.29 -69.20 28.80 -27.80 -68.80 35.40 -30.28 -78.20 35.20 -28.87 -66.00 26.60
2021-04 17.16 -46.40 68.00 18.02 -39.60 69.60 19.93 -43.40 70.60 16.74 -38.40 68.80
2021-03 3.58 -13.20 20.60 5.02 -16.20 21.40 5.69 -10.20 22.80 3.50 -16.40 28.60
2021-02 2.12 -11.60 18.00 1.64 -10.60 18.80 3.11 -8.80 19.80 2.23 -12.00 18.80
2021-01 -29.87 -101.00 26.40 -30.61 -101.40 26.80 -30.75 -100.80 28.40 -28.82 -93.80 23.60
2020-12 2.20 -78.80 88.40 -0.66 -78.40 87.60 0.70 -79.00 91.60 0.76 -79.60 86.00
2020-11 18.53 11.40 22.40 19.95 14.80 24.00 19.98 15.00 24.60 18.41 13.00 23.60
2020-10 11.31 -21.00 35.60 9.55 -21.80 31.20 10.52 -19.40 36.40 10.89 -20.80 33.60
2020-09 19.21 8.00 40.60 20.63 8.40 39.40 20.85 9.40 40.60 19.26 8.40 38.40
2020-08 5.66 -7.20 12.00 6.23 -1.00 11.20 6.87 -0.80 11.80 5.51 -0.60 10.60
2020-07 7.25 3.00 12.60 6.94 2.20 13.20 7.67 3.00 13.20 6.40 2.20 11.40
2020-06 0.16 -6.80 6.20 0.38 -7.20 6.20 0.66 -5.80 7.00 0.01 -7.00 5.20
2020-05 -0.23 -8.60 8.80 -0.49 -6.40 8.20 -0.64 -7.60 7.60 -0.40 -8.00 8.00
2020-04 -0.86 -14.80 4.00 -0.22 -15.20 5.20 0.01 -17.60 4.80 -1.83 -18.20 2.60
2020-03 -3.43 -16.00 9.20 -3.15 -16.20 16.20 -3.26 -15.00 7.00 -3.87 -16.60 11.00
2020-02 2.10 -7.40 10.20 1.65 -5.80 8.20 2.64 -5.80 9.20 1.63 -7.80 10.20
2020-01 -2.78 -5.20 -1.40 -2.98 -5.60 -1.00 -2.54 -6.00 -0.80 -3.38 -7.40 -1.40
2019-12 -0.36 -12.40 8.60 -0.36 -10.80 8.80 0.21 -9.80 8.80 -0.84 -12.00 9.80
2019-11 5.90 -0.60 9.20 6.28 1.20 8.80 6.51 1.60 8.80 5.66 1.00 8.80
2019-10 4.10 -12.60 12.60 3.69 -11.80 11.60 4.12 -11.00 11.00 3.19 -14.20 12.00
2019-09 2.05 -13.80 11.80 1.77 -11.40 9.60 2.18 -10.40 9.60 1.43 -16.00 11.80
2019-08 4.23 -1.00 11.20 4.37 -1.00 12.20 4.84 -1.80 12.60 3.59 -1.40 11.80
2019-07 -1.17 -6.00 3.40 -1.29 -5.60 2.40 -0.39 -5.00 4.00 -1.80 -5.80 4.00
2019-06 -2.67 -11.00 6.80 -2.45 -11.20 4.60 -2.47 -10.80 5.00 -3.08 -11.60 7.00
2019-05 -10.25 -13.20 -6.60 -10.50 -12.80 -7.80 -9.82 -12.40 -7.20 -10.85 -14.40 -8.20
2019-04 9.14 -12.00 25.80 9.37 -9.80 27.20 10.36 -11.80 29.00 8.95 -11.80 27.60
2019-03 5.68 -0.60 11.80 5.94 1.80 11.40 6.78 3.20 11.00 4.85 1.80 8.20
2019-02 -3.87 -5.80 0.80 -4.35 -6.40 -0.60 -3.59 -5.20 -0.20 -4.52 -5.80 -0.80
2019-01 -6.16 -10.80 -2.00 -6.27 -11.40 -1.00 -6.27 -12.60 -1.80 -6.85 -13.00 -3.60
2018-12 -18.27 -48.60 37.20 -18.00 -50.00 36.20 -17.64 -48.60 35.80 -18.91 -50.40 33.80
2018-11 33.49 24.20 48.40 32.76 24.00 42.20 35.35 25.60 46.80 31.67 23.20 57.20
2018-10 23.40 -11.40 37.80 23.34 -12.80 38.40 24.40 -8.40 38.80 22.71 -8.20 36.00

动力煤期货跨期套利价差逐日数据

日期 主连开盘价 主连收盘价 主连最高价 主连最低价 次主连开盘价 次主连收盘价 次主连最高价 次主连最低价 开盘价差值 收盘价差值 最高价差值 最低价差值
2019-02-21 586.20 585.60 594.80 582.00 590.60 590.20 598.60 587.40 -4.40 -4.60 -3.80 -5.40
2019-02-20 584.40 588.00 588.00 581.20 590.00 592.00 592.40 587.00 -5.60 -4.00 -4.40 -5.80
2019-02-19 584.60 584.00 585.00 581.00 588.80 590.20 590.20 586.40 -4.20 -6.20 -5.20 -5.40
2019-02-18 590.00 583.80 594.00 581.60 595.00 588.80 599.20 587.20 -5.00 -5.00 -5.20 -5.60
2019-02-15 588.00 588.20 592.00 587.00 593.80 593.60 596.40 592.20 -5.80 -5.40 -4.40 -5.20
2019-02-14 587.00 586.60 590.80 584.20 591.40 592.00 594.60 589.20 -4.40 -5.40 -3.80 -5.00
2019-02-13 584.00 585.00 589.60 582.40 589.20 590.40 594.00 587.80 -5.20 -5.40 -4.40 -5.40
2019-02-12 580.80 579.60 585.40 578.00 585.60 586.00 590.00 583.00 -4.80 -6.40 -4.60 -5.00
2019-02-11 591.60 581.20 592.00 575.60 593.20 586.60 595.60 581.20 -1.60 -5.40 -3.60 -5.60
2019-02-01 585.80 589.00 590.00 583.00 591.60 593.20 594.60 587.80 -5.80 -4.20 -4.60 -4.80
2019-01-31 572.80 586.20 587.80 571.00 578.00 590.40 592.40 576.60 -5.20 -4.20 -4.60 -5.60
2019-01-30 571.60 571.20 576.60 570.00 577.00 576.80 582.80 576.00 -5.40 -5.60 -6.20 -6.00
2019-01-29 573.20 571.60 574.60 569.00 580.60 577.00 580.80 574.40 -7.40 -5.40 -6.20 -5.40
2019-01-28 574.60 573.80 578.20 571.20 579.20 580.60 583.20 577.00 -4.60 -6.80 -5.00 -5.80
2019-01-25 569.00 574.00 580.40 567.00 575.20 578.80 585.00 573.60 -6.20 -4.80 -4.60 -6.60
2019-01-24 576.60 569.00 577.60 569.00 583.60 575.20 584.00 575.20 -7.00 -6.20 -6.40 -6.20
2019-01-23 575.00 576.60 579.80 572.80 578.40 582.60 584.80 577.40 -3.40 -6.00 -5.00 -4.60
2019-01-22 585.00 576.00 587.40 574.40 587.00 579.20 589.20 578.60 -2.00 -3.20 -1.80 -4.20
2019-01-21 591.40 587.80 593.60 579.20 593.60 589.80 596.40 583.60 -2.20 -2.00 -2.80 -4.40
2019-01-18 585.00 591.60 595.60 583.20 588.80 592.60 597.60 586.80 -3.80 -1.00 -2.00 -3.60
2019-01-17 582.20 583.80 584.40 580.40 587.40 587.60 588.00 584.00 -5.20 -3.80 -3.60 -3.60
2019-01-16 576.00 582.20 585.00 574.60 578.20 585.80 589.40 578.20 -2.20 -3.60 -4.40 -3.60
2019-01-15 577.20 575.00 578.60 570.20 583.40 581.20 584.60 576.80 -6.20 -6.20 -6.00 -6.60
2019-01-14 560.20 577.20 581.60 559.00 569.60 584.00 589.60 567.80 -9.40 -6.80 -8.00 -8.80
2019-01-11 561.00 561.00 562.80 557.00 569.40 570.00 571.00 566.00 -8.40 -9.00 -8.20 -9.00
2019-01-10 562.20 561.00 564.80 559.40 570.40 569.80 573.80 568.40 -8.20 -8.80 -9.00 -9.00
2019-01-09 565.00 561.40 565.40 561.20 572.80 570.20 574.60 570.20 -7.80 -8.80 -9.20 -9.00
2019-01-08 568.20 564.80 569.40 563.00 577.00 574.00 577.80 572.60 -8.80 -9.20 -8.40 -9.60
2019-01-07 565.00 569.40 570.40 562.80 572.60 577.80 578.60 571.00 -7.60 -8.40 -8.20 -8.20
2019-01-04 562.40 563.40 567.00 560.40 568.20 571.80 574.80 568.20 -5.80 -8.40 -7.80 -7.80
2019-01-03 562.80 561.00 563.40 555.20 570.80 569.40 571.40 565.20 -8.00 -8.40 -8.00 -10.00
2019-01-02 563.00 563.40 565.00 560.60 573.80 574.80 577.60 573.60 -10.80 -11.40 -12.60 -13.00
2018-12-28 560.80 561.60 564.80 559.00 571.00 573.20 576.40 571.00 -10.20 -11.60 -11.60 -12.00
2018-12-27 555.00 559.80 566.00 554.80 568.60 571.80 576.00 568.60 -13.60 -12.00 -10.00 -13.80
2018-12-26 555.60 553.20 559.80 551.00 565.00 566.00 569.80 564.80 -9.40 -12.80 -10.00 -13.80
2018-12-25 563.60 555.40 565.40 553.40 570.80 566.20 571.80 565.00 -7.20 -10.80 -6.40 -11.60
2018-12-24 561.00 565.00 569.80 560.80 569.80 572.60 576.00 569.20 -8.80 -7.60 -6.20 -8.40
2018-12-21 559.80 561.00 563.20 558.80 568.20 569.60 570.40 566.80 -8.40 -8.60 -7.20 -8.00
2018-12-20 562.60 560.40 564.60 559.40 571.00 568.60 572.20 568.20 -8.40 -8.20 -7.60 -8.80
2018-12-19 561.40 563.00 565.00 558.40 569.60 571.40 573.00 568.60 -8.20 -8.40 -8.00 -10.20
2018-12-18 563.00 559.60 563.40 554.80 597.60 594.20 600.00 592.20 -34.60 -34.60 -36.60 -37.40
2018-12-17 565.20 562.60 567.00 562.00 610.00 598.00 610.00 597.80 -44.80 -35.40 -43.00 -35.80
2018-12-14 566.40 566.00 566.60 560.00 613.20 610.80 613.80 610.40 -46.80 -44.80 -47.20 -50.40
2018-12-13 566.00 566.60 568.20 564.00 614.00 614.60 616.80 611.20 -48.00 -48.00 -48.60 -47.20
2018-12-12 567.40 566.20 572.60 565.20 616.00 614.00 617.00 613.00 -48.60 -47.80 -44.40 -47.80
2018-12-11 575.00 565.60 576.20 562.60 615.00 615.60 618.00 611.00 -40.00 -50.00 -41.80 -48.40
2018-12-10 574.20 576.80 578.60 568.40 615.00 615.40 618.20 612.00 -40.80 -38.60 -39.60 -43.60
2018-12-07 565.40 574.40 574.40 564.40 607.00 615.80 619.00 605.20 -41.60 -41.40 -44.60 -40.80
2018-12-06 560.80 566.80 569.20 558.60 598.00 607.80 609.80 596.00 -37.20 -41.00 -40.60 -37.40
2018-12-05 600.00 597.60 601.60 594.00 562.80 561.40 567.80 560.20 37.20 36.20 33.80 33.80
2018-12-04 594.00 598.40 600.60 594.00 568.20 563.00 569.60 561.00 25.80 35.40 31.00 33.00
2018-12-03 592.60 598.80 615.40 592.40 564.40 568.80 579.60 562.00 28.20 30.00 35.80 30.40
2018-11-30 595.00 593.60 596.00 590.60 561.60 563.20 564.80 560.00 33.40 30.40 31.20 30.60
2018-11-29 602.80 595.20 604.40 592.80 569.00 561.00 570.80 560.20 33.80 34.20 33.60 32.60
2018-11-28 602.80 602.80 607.20 595.60 566.80 568.60 571.00 566.20 36.00 34.20 36.20 29.40
2018-11-27 597.20 602.80 605.80 595.00 567.40 566.60 570.60 563.80 29.80 36.20 35.20 31.20
2018-11-26 610.00 597.00 614.80 588.20 568.80 567.80 572.00 560.60 41.20 29.20 42.80 27.60
2018-11-23 619.20 611.00 623.80 609.00 575.80 569.60 578.80 569.60 43.40 41.40 45.00 39.40
2018-11-22 620.00 618.20 622.40 615.00 577.00 576.00 579.60 575.00 43.00 42.20 42.80 40.00
2018-11-21 611.00 618.40 619.20 604.00 576.20 576.60 577.80 570.20 34.80 41.80 41.40 33.80
2018-11-20 607.80 612.00 615.00 605.00 576.60 576.20 579.60 573.20 31.20 35.80 35.40 31.80
2018-11-19 618.00 608.00 618.00 604.80 581.60 574.80 581.60 547.60 36.40 33.20 36.40 57.20
2018-11-16 618.80 618.40 621.80 613.80 581.40 581.60 583.60 578.40 37.40 36.80 38.20 35.40
2018-11-15 620.20 613.60 620.20 607.60 582.00 578.20 583.00 574.60 38.20 35.40 37.20 33.00
2018-11-14 605.00 622.80 629.80 603.40 575.00 586.20 589.00 573.80 30.00 36.60 40.80 29.60
2018-11-13 615.20 603.20 616.80 602.40 576.60 573.80 577.00 571.20 38.60 29.40 39.80 31.20
2018-11-12 627.00 617.00 627.80 614.20 578.60 577.00 581.00 574.00 48.40 40.00 46.80 40.20
2018-11-09 624.20 627.40 629.00 621.20 596.20 595.60 598.60 595.00 28.00 31.80 30.40 26.20
2018-11-08 620.80 623.40 624.00 616.00 595.60 598.00 598.40 592.80 25.20 25.40 25.60 23.20
2018-11-07 627.20 619.80 628.20 618.80 600.00 595.60 602.00 595.00 27.20 24.20 26.20 23.80
2018-11-06 628.00 629.00 631.60 625.60 603.80 602.00 603.80 600.60 24.20 27.00 27.80 25.00
2018-11-05 628.60 627.80 632.40 624.20 604.00 603.20 604.80 600.00 24.60 24.60 27.60 24.20
2018-11-02 631.40 627.80 637.00 621.40 604.40 603.80 606.80 597.40 27.00 24.00 30.20 24.00
2018-11-01 632.80 630.40 635.00 630.00 607.80 603.40 607.80 602.60 25.00 27.00 27.20 27.40
2018-10-31 640.00 632.20 642.60 629.20 617.00 605.60 617.40 605.20 23.00 26.60 25.20 24.00
2018-10-30 638.20 639.80 639.80 634.40 615.80 617.00 617.80 614.00 22.40 22.80 22.00 20.40
2018-10-29 632.40 639.00 642.00 631.40 612.20 617.20 619.60 612.00 20.20 21.80 22.40 19.40
2018-10-26 637.00 632.00 637.60 631.80 615.00 612.40 619.00 607.60 22.00 19.60 18.60 24.20
2018-10-25 643.80 638.20 645.60 635.40 620.80 615.20 620.80 613.20 23.00 23.00 24.80 22.20
2018-10-24 642.20 644.60 647.60 638.40 618.00 620.60 622.80 614.20 24.20 24.00 24.80 24.20
2018-10-23 640.40 642.00 645.80 637.60 616.00 618.00 619.60 615.20 24.40 24.00 26.20 22.40
2018-10-22 644.60 641.00 647.60 640.20 613.40 616.20 618.60 612.00 31.20 24.80 29.00 28.20
2018-10-19 656.00 644.60 657.80 644.00 621.60 613.60 621.60 612.00 34.40 31.00 36.20 32.00
2018-10-18 663.80 656.60 664.80 653.40 626.00 621.00 626.00 620.00 37.80 35.60 38.80 33.40
2018-10-17 662.80 664.40 667.20 659.00 626.60 626.00 629.40 623.00 36.20 38.40 37.80 36.00
2018-10-16 660.60 662.20 663.80 656.80 632.20 627.80 633.40 626.40 28.40 34.40 30.40 30.40
2018-10-15 666.20 660.00 669.80 659.20 636.80 632.00 639.20 631.20 29.40 28.00 30.60 28.00
2018-10-12 660.40 666.20 667.80 660.00 633.20 636.60 637.80 632.60 27.20 29.60 30.00 27.40
2018-10-11 670.00 660.00 671.80 655.20 637.40 633.00 639.80 630.80 32.60 27.00 32.00 24.40
2018-10-10 663.20 666.80 671.40 660.40 637.80 636.60 644.20 634.20 25.40 30.20 27.20 26.20
2018-10-09 652.00 663.00 665.00 649.00 663.40 670.80 673.40 657.20 -11.40 -7.80 -8.40 -8.20
2018-10-08 649.60 650.40 655.40 646.40 658.80 663.20 663.80 652.20 -9.20 -12.80 -8.40 -5.80
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